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Measuring and managing market, credit and Op risk [8]

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Bullet points include: Losses employed in risk measures may be defined in a variety of ways Credit risk modelling Commonly define loss as default-free value of exposure less actual future value Market risk modelling Commonly define loss as current mark-to-market less future (MTM) value At issue is how we take account of ‘expected’ losses versus ‘unexpected’ losses (and how we might quantify the former)

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